Efficiency of a Kernel Density Estimator Under an Autoregressive Dependence Model

DOI10.2307/2288344MaRDI QIDQ3347109zbMATH OpenOpenAlexFDO

Authors J. D. Hart

Publication date 1984

Full work available at URL https://doi.org/10.2307/2288344

zbMATH Keywords

Cauchycharacteristic functiondependenceexponential distributionfirst-order autoregressive modelFourier integral estimatorindependencekernel density estimatormean integrated squared errornormaloptimal bandwidthstrictly stationary process

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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(16)

• Asymptotic error rates of the W and Z statistics when the training observations are dependent
• An ARMA type probability density estimator
• Density estimation for point processes
• On central and non-central limit theorems in density estimation for sequences of long-range dependence
• On the asymptotic mean integrated squared error of a kernel density estimator for dependent data
• Finite sample performance of density estimators from unequally spaced data
• On bandwidth choice for density estimation with dependent data
• Optimal smoothing parameter of fourier series density estimates under an autoregressive dependence model
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• Una clase de estimadores para los parametros de un proceso AR(1), obtenidos a partir de estimaciones no parametricas previas
• Efficient Estimation of a Distribution Function under Quadrant Dependence
• Some automated methods of smoothing time-dependent data
• Exact risk approaches to smoothing parameter selection
• OnL₁-consistency of kernel-type density estimator for stationary markov processes
• Convergence rates in density estimation for data from infinite-order moving average processes
• Integrated consistency of smoothed probability density estimators for stationary sequences

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